Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model

By W. Brent Lindquist, Svetlozar T. Rachev, Jagdish Gnawali, Frank J. Fabozzi

Published 2023-06-30

Everscope rating

1311.5

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Unified Bachelier-Black-Scholes-Merton (BBSM) Model. Problem types: Option Pricing, Asset Pricing, Time Series Forecasting, Risk Management.

arXiv:2405.12479 · Paper rankings

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